. . And it seems like it should be an easy adjustment, programming wise.
I mean, just turn off "Load" after closing a project. Could be an option, I suppose. Best would be that it asks what to make active or load.

Thing is, I frequently have 2 or more projects open - many times different versions of the same cue - so I can compare things, sometimes import tracks . .
When I close 1, boom, I have to wait while, perhaps, the wrong project loads.
Hugh

Yes, this is annoying but I use a workaround for this.
I always start Cubase/Nuendo with a blank project than open all other loaded projects that I’m actually working on. Whenever I close any project, I don't need to think about which will be activated next, the blank project gets activated automatically in a second, then I can choose which other loaded project I want to activate.
It always defaults to the first blank project.
This can save you a lot of time.